Vine Copula Change Point Detection in Multivariate Time Series

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Documentation for package ‘vccp’ version 0.1.1

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getTestPlot Plot output from the VCCP model
mvn.sim.2.cps Simulate multivariate normal data with 2 change points
vccp vccp: Detect multiple change points in the vine copula structure of multivariate time series by Vine Copula Change Point Model
vccp.fun Multiple change point detection in the vine copula structure of multivariate time series